Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model
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DOI: 10.1007/s10957-013-0382-9
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Cited by:
- Zakaria Marah, 2023. "American Passport options in an exponential L\'evy model," Papers 2307.16649, arXiv.org.
- Yang Wang & Baojun Bian & Zijiang Yang & Jizhou Zhang, 2019. "The Valuation of American Passport Options: A Viscosity Solution Approach," Journal of Optimization Theory and Applications, Springer, vol. 180(2), pages 608-633, February.
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Keywords
Passport option; Jump-diffusion; Viscosity solution; Uniqueness; Convexity preserving;All these keywords.
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